Multiple myeloma (MM) is an incurable hematologic malignancy characterized by a multistep evolutionary pathway, with an initial phase called monoclonal gammopathy of undetermined significance (MGUS), potentially evolving into the symptomatic disease, often preceded by an intermediate phase called “smoldering” MM (sMM). From a biological point of view, genomic alterations (translocations/deletions/mutations) are already present at the MGUS phase, thus rendering their role in disease evolution questionable. On the other hand, we currently know that changes in the bone marrow microenvironment (TME) could play a key role in MM evolution through a progressive shift towards a pro-inflammatory and immunosuppressive shape, which may drive cancer progression as well as clonal plasma cells migration, proliferation, survival, and drug resistance. Along this line, the major advancement in MM patients’ survival has been achieved by the introduction of microenvironment-oriented drugs (including immunomodulatory drugs and monoclonal antibodies). In this review, we summarized the role of the different components of the TME in MM evolution from MGUS as well as potential novel therapeutic targets/opportunities.